| Publication | Date of Publication | Type |
|---|
On robust inference in time-series regression
The Econometrics Journal | 2026-02-03 | Paper |
Amazingly versatile Durbin regressions with persistent and nonlinear errors: HAC comparisons
Economics Letters | 2025-12-16 | Paper |
On the estimation of short memory components in long memory time series models
Studies in Nonlinear Dynamics & Econometrics | 2023-03-30 | Paper |
Estimation and inference for impulse response functions from univariate strongly persistent processes
Econometrics Journal | 2022-07-26 | Paper |
Inference for impulse response coefficients from multivariate fractionally integrated processes
Econometric Reviews | 2022-06-07 | Paper |
Long memory, realized volatility and heterogeneous autoregressive models
Journal of Time Series Analysis | 2019-07-30 | Paper |
Modified information criteria and selection of long memory time series models
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Choices between OLS with robust inference and feasible GLS in time series regressions
Economics Letters | 2018-10-08 | Paper |
Nonlinear models for strongly dependent processes with financial applications
Journal of Econometrics | 2016-06-22 | Paper |
Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates
Economics Letters | 2013-10-24 | Paper |
Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
Journal of Economic Dynamics and Control | 2009-07-28 | Paper |
REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
Econometric Theory | 2005-03-07 | Paper |
Asymptotics of M-estimators in non-linear regression with long memory designs.
Statistics & Probability Letters | 2004-03-14 | Paper |
Estimation of GARCH models from the autocorrelations of the squares of a process
Journal of Time Series Analysis | 2002-04-24 | Paper |
| Prediction from the regression model with one-way error components | 2001-07-31 | Paper |
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Journal of Econometrics | 1997-07-14 | Paper |
Long memory processes and fractional integration in econometrics
Journal of Econometrics | 1997-01-19 | Paper |
| scientific article; zbMATH DE number 762937 (Why is no real title available?) | 1995-07-05 | Paper |
Prediction in dynamic models with time-dependent conditional variances
Journal of Econometrics | 1992-06-28 | Paper |
Econometric tests of rationality and market efficiency
Econometric Reviews | 1989-01-01 | Paper |
Inference in dynamic models containing 'surprise' variables
Journal of Econometrics | 1987-01-01 | Paper |
Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors
Econometrica | 1981-01-01 | Paper |
Predictions from ARMAX models
Journal of Econometrics | 1980-01-01 | Paper |
| The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors | 1979-01-01 | Paper |
Asymptotic prediction mean squared error for vector autoregressive models
Biometrika | 1979-01-01 | Paper |
